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A DFA approach for assessing asymmetric correlations

Author

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  • Alvarez-Ramirez, Jose
  • Rodriguez, Eduardo
  • Carlos Echeverria, Juan

Abstract

Here we propose a method, based on detrended fluctuation analysis, to investigate asymmetric correlations in nonstationary time series. The aim is to show that, for a certain range of time scales, different scaling properties are found if signal trending is either positive and negative. We illustrate the method by selected examples from physics and finance.

Suggested Citation

  • Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Carlos Echeverria, Juan, 2009. "A DFA approach for assessing asymmetric correlations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(12), pages 2263-2270.
    • Handle: RePEc:eee:phsmap:v:388:y:2009:i:12:p:2263-2270
    DOI: 10.1016/j.physa.2009.03.007
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    References listed on IDEAS

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    1. Ang, Andrew & Chen, Joseph, 2002. "Asymmetric correlations of equity portfolios," Journal of Financial Economics, Elsevier, vol. 63(3), pages 443-494, March.
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    4. Kantelhardt, Jan W. & Zschiegner, Stephan A. & Koscielny-Bunde, Eva & Havlin, Shlomo & Bunde, Armin & Stanley, H.Eugene, 2002. "Multifractal detrended fluctuation analysis of nonstationary time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 87-114.
    5. Kee-Hong Bae & G. Andrew Karolyi & René M. Stulz, 2003. "A New Approach to Measuring Financial Contagion," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 717-763, July.
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